Testing Limited Arbitrage: The Case of the Tunisian Stock Market
Journal Title: International Journal of Empirical Finance - Year 2014, Vol 2, Issue 2
Abstract
This paper aims at showing that arbitrage, theoretically used as a mechanism of establishing equilibrium in financial markets, is limited in reality. Because of numerous obstacles and risks to arbitrage, assets prices become more and more biased and exhibit numerous anomalies. Like Lam and Wei (2011), in our study we show that arbitrage is limited. To this end, we use a sample of 20 firms listed on the Tunis Stock Exchange (TSE) over a period stretching from July 2007 to June 2012. The results indicate that arbitrage is limited and does not play a fundamental role in stabilizing prices.
Authors and Affiliations
Salem Brahim, Kamel Naoui, Akrem brahim
Keywords
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